HI,Simple question, how can we hedge a book of exotics options ( on rate) with the futures?For example, If my book as a delta of -2000 for a variation of 1 bp on the 10 years and a delta of -500 on the 1 year.How can i hedge it?regards and tks vm

Hi, where can i found papers about the model of UNCERT Volatility, rate...... (Where i have a high and low value of them)

Hi, what kind of difference can i find when i hedge my book if i use BS or Stoch model like HEston?WHat kind of hedging it would be interesting to put on place to see this?

HI, just a little question:When i' ve found the sigmaB of the SABR, what have i to do with it for having my CALL price? just put it in a BS formula??And how can i have the forward: is it S*exp(rt) ??Thanks a lot

HI,please where can i find, or have you , free option data, for calibrating a nice Smile of implied volatility for my pricer BS.Thanks a lot

HI,please, where can i find Historical data, of options (Call/Put) for free.And where can i find free historical implied volatility for free.It's just for calibrating my pricers. I just need few data, so if you have it thanks a lot. i just need data, for having a nice "Smile" thanks by advance

Sorry, here is my serie:

<t>Hi, just a little question:With this serie, i have this regression on (LN(t+1/t): -0,084236523 0,000418852 0,063417053 0,000807534 0,007008006 0,012809512 1,7643663 250 0,000289504 0,041020897WHat is Mean reversion Long run variance short variance = 0.041020897 ??????? IBM LN(t+1/t)83,45 -0,02303...

Thanks a lot!!!!!!!!!!!!!!!!!!!!!!!!

Hi,Is it possible to obtain, a closed form formula of the delta, Vega,GAmma.... in HEston Model????Thanks by advence

Hi,How can i obtain This parameters in Excel: Mean Reversion, Current Variance, Long run VarianceOR what is the formula?Thanks by advance

Hi,What is the formula of delta, gamma, vega, theta in Heston model?Thanks

HI!What kind of differences on the risk could i have, when i manage an option book with Black Scholes and with a stochastic volatility model like HEston, or SABR ??????

HI!What kind of differences on the risk could i have, when i manage an option book with Black Scholes and with a stochastic volatility model like HEston, or SABR ??????

HI!What kind of differences on the risk could i have, when i manage an option book with Black Scholes and with a stochastic volatility model like HEston, or SABR ??????